Drop down list hyperlinking to the data values

In the same drop down cell it can not possible to make hyperlink.

You must create some helper cell.

try in sheet dd_list

C3=B3
B4

Formula:

=HYPERLINK("[excel_forum1.xlsx]list!"&ADDRESS(MATCH(C3,list!B:B,0),2,),INDEX(list!B:B,MATCH(dd_list!C3,list!B:B,0)))

B4 would be your hyperlink.

Check the attached file.

Hope it will help you.