  Gamma-ray bursts (GRBs) are fascinating sources studied in modern astronomy.
They are extremely luminous electromagnetic explosions in the Universe observed
from cosmological distances. These unique characteristics provide a marvellous
chance to study the evolution of massive stars and probe the rarely explored
early Universe. In addition, the central source's compactness and the high bulk
Lorentz factor in GRB's ultra-relativistic jets make them efficient
laboratories for studying high-energy astrophysics. GRBs are the only
astrophysical sources observed in two distinct signals: gravitational and
electromagnetic waves. GRBs are believed to be produced from a "fireball"
moving at a relativistic speed, launched by a fast-rotating black hole or
magnetar. GRBs emit radiation in two phases: the initial gamma/hard X-rays
prompt emission, the duration of which ranges from a few seconds to hours,
followed by the multi-wavelength and long-lived afterglow phase. Based on the
observed time frame of GRB prompt emission, astronomers have generally
categorized GRBs into two groups: long (> 2 s) and short (< 2 s) bursts.
Despite the discovery of GRBs in the late 1960s, their origin is still a great
mystery. There are several open questions related to GRBs, such as: What powers
the GRBs jets/central engine? What are the possible progenitors? What is the
jet composition? What is the underlying emission process that gives rise to
observed radiation? Where and how does the energy dissipation occur in the
outflow? How to solve the radiative efficiency problem? What are the possible
causes of Dark GRBs and orphan afterglows? How to investigate the local
environment of GRBs? etc. In this thesis, we explored some of these open
enigmas (progenitor, emission mechanisms, jet composition and environment)
using multi-wavelength observations obtained using space and ground-based
facilities.
