By default WordPress does not accept hyperlinks in the widget title. Even if you enter a hyperlink , it will strip down all the html tags and simply print out the text. So basically in order to link the widget titles, we’ll need to find a way to make WordPress accept html in Widget Title.
Here is a little snippet which lets you add a hyperlink in the widget title. The snippet makes use of widget_title filter and it will dynamically replace custom tags with actual html tags. You can use the Code Snippet plugin to run this piece of code.