It's possible.
But you need to add an onchange event to the dropdown.
Example:
<form method="post" action="">
<select onChange="location.href=this.value;">
<option VALUE="">Select a link..</option>
<option VALUE="/link1">Test link one</option>
<option VALUE="/link2">Test link two</option>
<option VALUE="/link3">Test link three</option>
</select>
</form>
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