Primes numbers with prime index Write a program or function that outputs/returns the first 10000 prime-indexed prime numbers. 

If we call the nth prime p(n), this list is

3, 5, 11, 17, 31, 41, 59 ... 1366661


because

p(p(1)) = p(2) = 3
p(p(2)) = p(3) = 5
p(p(3)) = p(5) = 11
p(p(4)) = p(7) = 17
...
p(p(10000)) = p(104729) = 1366661


Standard loopholes are forbidden, and standard output methods are allowed. You may answer with a full program, a named function, or an anonymous function.
MATLAB/Octave, 25 bytes
p=primes(2e6)
p(p(1:1e4))

It doesn't get much more straightforward than this.