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I don't think so as NTFS (Windows) can't natively write to HFS+ (Mac) and vice versa. You might be able to do this with some third party software.

I have a 1TB network drive formatted as exFAT that I can access from both my Mac and PCs. You might look at something like that.
 
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Does something like this exist?

Use ethernet cable to connect two PCs. Doesn't matter if they are PC or Mac. They just need their
own local IP address (e.g. 192.168.1.1 and 192.168.1.2). Data is transfered as TCP/IP packets.
 
Nevermind, found the J5 Wormhole Switch USB cable that allows you to drag and drop between Mac and Windows systems.
 
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