Hello,
The link should take you to your main events page – yoursite.com/events by default, or yoursite.com/custom-slug if you’ve changed the events slug under Events > Settings > Events URL slug. After changing this, you should flush your permalinks by going to Settings > Permalinks and clicking “Save”.
If your main events page isn’t working, then the first step would be to update to the current version (4.6.12) and then to run through these steps to test for any conflicts that might be occurring with your theme and other plugins.
Let me know what you find!