BUG: Patch handling no NA values in TextFileReader

Closes gh-15835

Author: gfyoung

doc/source/whatsnew/v0.20.0.txt

@@ -1011,6 +1011,7 @@ I/O
 - Bug in ``DataFrame.to_stata()`` and ``StataWriter`` which produces incorrectly formatted files to be produced for some locales (:issue:`13856`)
 - Bug in ``StataReader`` and ``StataWriter`` which allows invalid encodings (:issue:`15723`)
 - Bug in ``pd.to_json()`` for the C engine where rollover was not correctly handled for case where frac is odd and diff is exactly 0.5 (:issue:`15716`, :issue:`15864`)
+- Bug in ``pd.read_csv()`` when an index was specified and no values were specified as null values (:issue:`15835`)
 
 Plotting
 ^^^^^^^^

pandas/io/parsers.py

@@ -2890,7 +2890,7 @@ def _clean_na_values(na_values, keep_default_na=True):
         if keep_default_na:
             na_values = _NA_VALUES
         else:
-            na_values = []
+            na_values = set()
         na_fvalues = set()
     elif isinstance(na_values, dict):
         na_values = na_values.copy()  # Prevent aliasing.

pandas/tests/io/parser/na_values.py

@@ -11,7 +11,7 @@
 import pandas.io.parsers as parsers
 import pandas.util.testing as tm
 
-from pandas import DataFrame, MultiIndex
+from pandas import DataFrame, Index, MultiIndex
 from pandas.compat import StringIO, range
 
 
@@ -303,3 +303,12 @@ def test_na_values_uint64(self):
         expected = DataFrame([[str(2**63), 1], ['', 2]])
         out = self.read_csv(StringIO(data), header=None)
         tm.assert_frame_equal(out, expected)
+
+    def test_empty_na_values_no_default_with_index(self):
+        # see gh-15835
+        data = "a,1\nb,2"
+
+        expected = DataFrame({1: [2]}, index=Index(["b"], name="a"))
+        out = self.read_csv(StringIO(data), keep_default_na=False, index_col=0)
+
+        tm.assert_frame_equal(out, expected)