No, only the wired serial connection has a baud rate setting. It is not 2 serial connections. There is only one serial connection and that is between the HC-05 and whatever it is connected to using the RX and TX pins.
The baud rate 38400 is normally used to program the HC-05 with whatever settings (including baud rate) you will want to use, and once it is power cycled and they key pin is left untouched the programmed baud rate is used from that point on.