Over the years, usability studies we’ve done show that within-page links cause confusion for users. The reason people have developed a strong mental model that links take them to a new page (rather than a different spot on the same page). The most common result is that users become disoriented when they discover that they are on a page that looks awfully similar to the one they just visited (because, of course, it’s really the same page). This problem is described more thoroughly by Jakob Nielson.
The conundrum is that the functionality of within-page links is potentially useful, particularly for longer, content-heavy pages.
A feature by the New York Times uses an approach that gives users much stronger feedback that the page is scrolling down—an approach that mitigates the risk of users losing context:
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New York Times: How Bin Laden Was Located and Killed
In this example, the within-page links also “travel along” as the user moves down the page—another improvement over the standard implementation.