title: pandas dataframe index datetime.date converts to object KeyError
body: <p>I retrieve some data from my MySQL database. This data has the date (not datetime) in one column and some other random data in the other columns. Let's say <code>dtf</code> is my dataframe. There is no index yet so I set one</p>
  
  <pre><code>    dtf.set_index('date', inplace=True)
  </code></pre>
  
  <p>Now I would like to get data from a specific date so I write for example</p>
  
  <pre><code>    dtf.loc['2000-01-03']
  </code></pre>
  
  <p>or just</p>
  
  <pre><code>    dtf['2000-01-03']
  </code></pre>
  
  <p>This gives me a <code>KeyError</code>:</p>
  
  <pre><code>    KeyError: '2000-01-03'
  </code></pre>
  
  <p>But I know its in there. <code>dtf.head()</code> shows me that.<br>
  So I did take a look at the type of the index of the first row:</p>
  
  <pre><code>    type(dtf.index[0])
  </code></pre>
  
  <p>and it tells me: <code>datetime.date</code>. All good, now what happens if I just type</p>
  
  <pre><code>    dtf.index
  
      Index([2000-01-03, 2000-01-04, 2000-01-05, 2000-01-06, 2000-01-07, 2000-01-10,
      2000-01-11, 2000-01-12, 2000-01-13, 2000-01-14,
      ...
      2015-09-09, 2015-09-10, 2015-09-11, 2015-09-14, 2015-09-15, 2015-09-16,
      2015-09-17, 2015-09-18, 2015-09-21, 2015-09-22],
      dtype='object', name='date', length=2763)
  </code></pre>
  
  <p>I am a bit confused about the <code>dtype='object'</code>. Shouldn't this read <code>datetime.date</code>?</p>
  
  <p>If I use datetime in my mysql table instead of date everything works like a charm. Is this a bug or a feature? I really would like to use <code>datetime.date</code> because it describes my data best.</p>
  
  <p>My pandas version is 0.17.0<br>
  I am using python 3.5.0<br>
  My os is arch linux</p>