Yes, and no.
When it comes to wheels the 2 golden rules are to reduce unsprung weight and rotational mass.
The wheels, tyres, brakes and struts i.e. everything under the suspension is referred to as unsprung weight. In essence this mass has no suspesion and must react as quickly as possible to the surface that it's trying to grip to.
Rotational mass relates to the gyroscopic effect generated by a rotating wheel. Think back to first ywar physics and when you had to change the direction of a spinning wheel, it doesn't want to. Increase the mass and increase the resistance. This means heavier wheels, tyres and brake discs will resist sterring input more than lighter ones.
Holy grail = as small and light as you can get away with.. I went for bigger brakes but countered with lightweight wheels.