Can I insert a hyperlink in an SMS message?

SMS is text-only. 

You cannot insert a HTML link into an SMS. 

However, if you type a valid URL (eg. www.commzgate.com) in the message body, most smart phones and devices automatically convert it to a clickable link.

(see example below)

If you wish to use a short URL in the SMS, you can refer to this article, How to shorten a URL in your SMS message content.