Since Sitefinity 7.0 it is possible to relate dynamic modules to a dynamic module of the same type. For example, if you have a dynamic module titled Articles, you can add a Related Data custom field to the Articles module and then select the custom related field to be of type Articles. This way when you create an Article, you will be able to select related articles to this article and display the related articles on the frontend.
I have recorded a short video
for your convenience demonstrating the above steps which I think you will find useful.
You may also take a look at the following article
for more details about content relations in Sitefinity.
If this is not the behavior you would like to achieve, can you please provide some more details about the exact use case scenario in order to be able to further help you?
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