I have the following code:

<a class="sectionname" href="#" onclick="expandAll();return false;">Expand all</a> 

When I click on expand all, the whole page loads. How can I do it using WebDriver for Python?

As per the HTML you can use the find_element_by_link_text and invoke click() method as follows :

driver.find_element_by_link_text("Expand all").click()

You can get more granualar with find_element_by_xpath as follows :

driver.find_element_by_xpath("//a[@class='sectionname' and contains(.,'Expand all')]").click()

Update

As you still don't see the expansion you can try the Javascript way as follows :

myElement = driver.find_element_by_xpath("//a[@class='sectionname' and contains(.,'Expand all')]")
driver.execute_script("arguments[0].click();", myElement)