Do hyperlinked keywords help the page they live on?

Do hyperlinked keywords count towards the page they are on?

[TarlaC]

when a page contains specific keywords within the content or within the navigation or sidebars that are hyperlinked internally, does the presence of those keywords still count towards that page, or do they only count towards the page they are linking to?

[ecmedia]

They do count and will not only bring traffic but may also affect how contextual ads are served.