I created content - lets call it X - which has a field with the type of entitiy reference (done with Entitiy reference). This field refers to a content that can be selected via select list. When X is shown the reference field appears but not as a link so that I can directly forward to that content. Do I need any additional module for that?
On the Manage Display page (Structure->Content Types->Your content), first be sure the display format is set to Label. Then, click on the gear on the right. You will see a checkbox with "Link label to the referenced entity". Check that and click Update, then save our display. The label will now link to the entity.