When you connect to a site via SSL, the server serves the certificate for that site during the SSL session. In the issuer
field of this certificate, the subject
of the certificate that was used to sign the site's certificate (i.e. the next certificate up in the chain) is specified. That certificate may have been signed by another certificate, and so on and so forth, until finally a root certificate is reached that is trusted by the client (e.g. a CA cert). For each certificate, the issuer
field points to the subject
of the next certificate up in the chain.
So, how does the client (e.g the web browser) access all of these certificates in the chain? There are a number of ways this can be done. In many cases, the server serves all of the certificates in the chain. This is often done by including all of the certificates in a .pem file. In other cases, the client may already have some (or all) of the certificates in its cache. In other cases, The Authority Information Access
field of a certificate in the chain may be used to specify an HTTP location where the certificate that was used to sign this certificate (i.e. the next certificate up in the chain) may be accessed.
For example, for the certificate for *.stackexchange.com that you included a screenshot of in your post, if you look at the issuer
field, you will see 'GlobalSign Organization Validation CA - SHA256 - G2'. This is the subject
of the certificate that was used to sign the certificate for *.stackexchange.com. Now, if you look at the Authority Information Access
field of the certificate for *.stackexchange.com, you will see the URL http://secure.globalsign.com/cacert/gsorganizationvalsha2g2r1.crt. The certificate for 'GlobalSign Organization Validation CA - SHA256 - G2' can be found at this URL. However, your web browser probably would not have to download any of the certificates in the chain from the URLs provided in the Authority Information Access
fields, because Stack Exchange's web servers serve all of the certificates in the chain during the SSL session.