That would be in your CSS file for that particular theme. Look for something like this:

a {
text-decoration: none;
color: #6a5acd;
}

a:hover {
background: #F0f0f0;
color: #6a5acd;
border-bottom: 1px dotted #000;
}

Change these attributes to your liking.

You can also go into the dashboard/pages and themes and select inspect for your theme and there is an option for editing the css file from there if your theme supports that functionality.