How Paging is working in ASP.net Gridview

.aspx page:
  <-asp:GridView runat="server" ID="gvDemo" AutoGenerateColumns="true"  PageSize="5" AllowPaging="true" OnRowDataBound="gvDemo_RowDataBound" OnPageIndexChanging="gvDemo_PageIndexChanging">
    <-Columns>   
     <-asp:TemplateField>
      <-ItemTemplate>
       <-asp:DropDownList runat="server" ID="DemoDDL" AutoPostBack="false" Text='<%# Eval("hMy") %>' />
      <-/ItemTemplate>
     <-/asp:TemplateField>         
    <-/Columns>
<-/asp:GridView>
.cs page:

DataTable dt = new DataTable();
protected void Page_Load(object sender, EventArgs e)
{
   IDataReader reader = null;
   SqlConnection con = new SqlConnection("Data Source=XYZ;Initial Catalog=DBNAME;User ID=USERNAME;Password=USERPWD");
   con.Open();
   SqlDataAdapter a = new SqlDataAdapter("SELECT * FROM [TableName]", con);
   a.Fill(dt);
   gvDemo.DataSource = dt;
   gvDemo.DataBind();
}

protected void gvDemo_RowDataBound(object sender, GridViewRowEventArgs e)
{
 if (e.Row.RowType == DataControlRowType.DataRow)
  {
    DropDownList ddl = (DropDownList)e.Row.FindControl("DemoDDL");
    ddl.DataSource = dt;
    ddl.DataTextField = "ColumnaName";
    ddl.DataValueField = "ColumnaName";
    ddl.DataBind();
  }
}

protected void gvDemo_PageIndexChanging(object sender, GridViewPageEventArgs e)
{
            gvDemo.PageIndex = e.NewPageIndex;
            gvDemo.DataSource = dt;
            gvDemo.DataBind();
}