It shows as a hyperlink in Keynote but then when I export it into Quicktime it won't show the little hand and is not a hyperlink anymore. What can I be doing wrong?
MacBook Pro (15-inch Late 2011), OS X El Capitan (10.11)
You are doing nothing wrong, Keynote version 6 series is unable to create a weblink in a Quicktime file.
Keynote version 5.3 is able to create a viable link, but only if played in QuickTime Player version 7.
If you have version 5 (contained in iWork 09) it runs well in El Capitan. iWork 09 is still available from Amazon and Ebay.
Hyperlink created in Keynote on Mac won't work when exported to Quicktime
