You could just add a mouse listener to your JLabel with your text. That would respond to a mouse click action. You could also had a hover listener to change the border to give your user some indication that the text is clickable and remove the border when you are no longer hovering.
final JLabel lblNewLabel = new JLabel("Click Me!");
lblNewLabel.addMouseListener(new MouseAdapter() {
@Override
public void mouseClicked(MouseEvent arg0)
{
System.out.println("Label Clicked!");
}
@Override
public void mouseEntered(MouseEvent e)
{
lblNewLabel.setBorder(BorderFactory.createEtchedBorder(1));
}
@Override
public void mouseExited(MouseEvent e)
{
lblNewLabel.setBorder(null);
}
});