To format link on Google Sites page, have a look on these following HTML. You need to add them at the end of the HTML link tag.

<a href="/a/siteshelp.com/www/google-sites-help/links-hyperlink/formating-links-on-sites" style="here you will add from following">

To make your link all in upper case:

style="text-transform:capitalize"

To remove underline form link:

style="text-decoration:none"

To change the color of link, (in some case, you need to change the link color)

style="color:rgb(25,250,255)"

Note: You can add all them at once but with "style" with each tip, end by semi column, example:

style="text-transform:capitalize; text-decoration:none; color:rgb(25,250,255)"

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