Technically speaking, it could be said either way. The main reason it is varied is in poetic writing or literature in order to help vary the sentences. If you are talking about a conversation between two people, then it would use quotations, but if you are just repeating what he said with no context, then there would not be quotations. With your example, I will create two scenarios. Scenario 1 (in a transcript of a conversation, or the describing of such in a novel): I asked him, "What is India?" He said, "India is a country in the continent of Asia." Scenario 2 (when looking back or describing the conversation when you are talking about someone to a new person): "Hey!" [I said] "Hello. What did you want to tell me? What did he say?" [she said] "He said that India is a country in the continent of Asia" [I said.] In the first scenario, the context was within that specific conversation. In the second, I was recounting what he described. I hope I helped!