This looks like normal behaviour to me, but recently someone asked how to prevent this as he just called a Javascript function in a hyperlink. Something like this:

<a href="javascript:DoSomething()"><img src="animated.gif" border="0"></a>

He didn't want the animations to stop when clicking that link, so we rewrote this line to:
<a href="#" onclick="javascript:DoSomething();return false"><img src="animated.gif" border="0"></a>