Is it violation of policy to have multiple sites on same niche?

So I created a website covering a specific niche and related content. I bought domain related to my main keyword. The website is doing well. Now I got to know about another different keyword which targets the exact same niche and has more volume. I bought another domain with the new keyword in it and was thinking of linking it to my previous one. As I am not very experienced. I got to know just today that you should not link your own sites and Google may papnelize you for having multiple sites on same niche. Can someone guide me related to any such policy? Thanks!