No, it is not possible to create a link in Word to a bookmark in a PDF. When you create a hyperlink in Word you can look for bookmarks only in MS-Word documents, not bookmarks in PDF's.
The only way to create a hyperlink in a Word document to a specific page or destination in a PDF is if the PDF file is in a web server and you create the link referring to the PDF URL, such as _http://www.domain.com/pdf/file.pdf#page2 or _http://www.domain.com/pdf/file.pdf#destinationname.
So, if the PDF file is in a web site or intranet you can make a hyperlink to a specific page or destination.
It is possible to create a named destination in a PDF in the Destinations pane in Adobe Acrobat.