use DTI constructor

Author: jreback

pandas/core/dtypes/cast.py

@@ -912,19 +912,15 @@ def try_datetime(v):
 
             # we might have a sequence of the same-datetimes with tz's
             # if so coerce to a DatetimeIndex; if they are not the same,
-            # then these stay as object dtype
-
-            # GH19671
-            # replaced to_datetime call with
-            # tslibs.conversion.datetime_to_datetime64
-            # in order to avoid changes to public to_datetime API
+            # then these stay as object dtype, xref GH19671
             try:
                 from pandas._libs.tslibs import conversion
-                from pandas.core.indexes.datetimes import DatetimeIndex
+                from pandas import DatetimeIndex
 
                 values, tz = conversion.datetime_to_datetime64(v)
-                return DatetimeIndex._simple_new(values, tz=tz)
-            except Exception:
+                return DatetimeIndex(values).tz_localize(
+                    'UTC').tz_convert(tz=tz)
+            except (ValueError, TypeError):
                 pass
 
         except Exception: