<li>
  <a href="#">
    <img src="http://www.jqueryscript.net/demo/Lightweight-Responsive-Content-Slider-Plugin-with-jQuery-CSS3-lightslider/img/1.jpg">
  </a>
</li>li {
  position: relative;
  width: 460px;
  height: 300px;
  z-index: 1;
}
a {
  position: absolute;
  width: 100%;
  height: 100%;
  display: block;
  background: yellow;
  z-index: 2;
}<a href=""> была внутри <img> (что невозможно), то да было бы "выше".<ul>
  <li>
    <a href="#"></a>
    <img src="http://www.jqueryscript.net/demo/Lightweight-Responsive-Content-Slider-Plugin-with-jQuery-CSS3-lightslider/img/1.jpg">    
  </li>
</ul>