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So, if what you say is true (I have no idea if it is or isn't), then you should take the effort to make the link complete, i.e., make it unambiguous.
So, something like <a href="http://yourDomain.com/link.php">link text </a> would be more appropriate.
>> The link that you are using as an example is a relative link, <<
Umm, no it is not.
That is an absolute URL counting from the web root.
.
Examples:
/the/absolute/path/from/root/to/the/file.html
a/relative/path/from/current/location/to/file.html
Absolute begins with / or the domain name in full.
Relative begins with just a directory name or filename or starts with ./ or ../ etc.