Concatenate a String and <a href=""></a>

If you really need to do that, you'd use a React Fragment (or any wrapper element, like a span), like this:

const example = <>Hello I'm a string<a href="/link">And this is a link</a></>;

Or with the older more verbose syntax:

const example = <React.Fragment>Hello I'm a string<a href="/link">And this is a link</a></React.Fragment>;

Later where you want to use that within another component, you'd use a JSX expression, for instance:

return <div>{example}</div>;

Live Example:

// The Stack Snippets version of Babel is too old
// for <>...</> syntax.
function Example() {
    const example = <React.Fragment>Hello I'm a string<a href="/link">And this is a link</a></React.Fragment>;

    return <div>{example}</div>;
}

ReactDOM.render(<Example/>, document.getElementById("root"));

<div id="root"></div>

<script src="https://cdnjs.cloudflare.com/ajax/libs/react/16.13.0/umd/react.production.min.js"></script>
<script src="https://cdnjs.cloudflare.com/ajax/libs/react-dom/16.13.0/umd/react-dom.production.min.js"></script>

But normally it's not necessary, you compose things when building your render tree (a class component's render method return value, or a functional component's return value). For instance:

function Example() {
    const msg = "Hello I'm a string";
    const link = <a href="/link">And this is a link</a>;

    // Composing them
    return <div>{msg}{link}</div>;
}

Live Example:

function Example() {
    const msg = "Hello I'm a string";
    const link = <a href="/link">And this is a link</a>;

    // Composing them
    return <div>{msg}{link}</div>;
}

ReactDOM.render(<Example/>, document.getElementById("root"));

<div id="root"></div>

<script src="https://cdnjs.cloudflare.com/ajax/libs/react/16.13.0/umd/react.production.min.js"></script>
<script src="https://cdnjs.cloudflare.com/ajax/libs/react-dom/16.13.0/umd/react-dom.production.min.js"></script>

For your approach to work you need to allow your HTML template to be infused with real code, in this case the <a></a> tag. That's a bit dangerous approach, because you are at the same time opening up your website for attacks, as it's possible for someone to inject code that would actually be ran on your server.

Although I say that, I'm not familiar enough with React to know if there is a way to inject code safely without being exposed to potential attacks.

I would advice you to break down the string and instead of concatenating the link, update your HTML template to be something like this: <p>{{helloString}} <a href="{{linkHref}}">{{linkString}}</a>.

You could also create the element completely in JS and append it to the div you want it into: see W3C instructions on how to achieve that https://www.w3schools.com/JSREF/met_document_createelement.asp

You should either treat the variable as a React component (see other answer) or as a string:

const example2 = "Hello I'm a string" + '<a href="/link">And this is a link</a>'