run this while on the index tab. Rename the red part to the name of the index sheet.

Sub SjonR()
For i = 2 To Worksheets.Count
    Sheets("Index").Hyperlinks.Add Range("A" & Range("A" & Rows.Count).End(xlUp).Row + 1), "", "'" & Sheets(i).Name & "'!A1", , Sheets(i).Name
Next i
End Sub