How to convert markdown to pdf/html using/adding files from links?

Question

HTML

There are all sorts of markdown guides with internal links to other md files:

Header1
----------

* [Title1](file1.md)
* [Title2](file2.md)

Header2
----------

* [Title3](file3.md)
* [Title4](file4.md)

Is there a ready-made solution (so as not to reinvent the wheel) to automatically merge files (file1.md, file2.md ...) from links, create internal links to the content of these files inside the document and convert to html / pdf. Or you can combine files in this way into 1 markdown file with internal links.
In pandoc , I did not find how or do not know how. Before writing the script, I decided to check if there is.