so, they have with index characters the exam same conversation than in azumanga daioh?

There's a very similar gag in Azumanga Daioh.
http://en.wikiquote.org/wiki/Azumanga_Daioh

Kagura: Now, if we accept that Santa doesn't exist -- do reindeer exist?
Tomo: [after a bout of explosive laughter] This girl believes in reindeer! [Continues laughing, the other girls gasp.]
Yomi: Reindeer do exist.

For the full context, see http://www.nicovideo.jp/watch/sm9031518

It's from episode 12 of the radio series 'To Aru "Radio" no Railgun'. It begins with Saten and Misaka.

Saten: Hey, Misaka-san. Until what age did you believe in Santa Claus?

Misaka: Eh? I guess I was about 10.

Saten: Oh, that's pretty recent. Well, what about reindeer?

Misaka: Reindeer?

Saten: Yeah, until what age did you believe in reindeer?

Misaka: Uh... Saten-san, reindeer really do exist...

Saten: Eh? ...Uh, heh. What are you talking about? Reindeer are fictional animals. There's no way that kind of flying animal could exist!

Misaka: Uh hmm what should I say… well, for now let's do the announcement.

Saten: Eh, ah, yes. All right.

(They announce when the anime will be broadcasting, stuff about the tankoubon, DVD, Bluray, etc.)

Saten: So, Misaka-san, reindeer don't really exist, right?

Misaka: Saten-san, next time you should have Uihara-san take you to the zoo.

Saten: Eh?

Misaka: And that concludes our announcement.

The seiyuu themselves then talk about reindeer.

For a more complete translation of the radio episode and even more information, go to the blog post here.

Also see related post #597073.