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To create the anchor: Add an anchor macro using wiki markup. Confluence will convert the macro to rich text format and add it to the page. For example, to create an anchor named 'index', type the following: {anchor:index}
To create the link: Use wiki markup too. Type the link, including the alias (if required), the hash character # and the anchor name. As soon as you type the closing square bracket, Confluence will convert the link to rich text format and add it to the page. This means that you can skip the link browser.
[Index|#index]