[BUG] Default type of empty list for `Index` should be `object` dtype

[galipremsagar]

Describe the bug
When an empty list is passed to Index constructor cudf defaults to float64, whereas pandas defaults to object. We should match the same.

Steps/Code to reproduce bug

In [1]: import cudf

In [2]: cudf.Index([])
Out[2]: Float64Index([], dtype='float64')

In [3]: import pandas as pd

In [4]: pd.Index([])
Out[4]: Index([], dtype='object')

Expected behavior

In [4]: cudf.Index([])
Out[4]: StringIndex([], dtype='object')

Environment overview (please complete the following information)

• Environment location: [Bare-metal]
• Method of cuDF install: [from source]

[mroeschke]

Note that in 2.0, an empty pandas.Series also defaulted to object

[mroeschke]

Note that in 2.0, an empty pandas.Series also defaulted to object