BUG: _apply_rule() ignores tz info on an empty list of observances (#54655)

* _apply_rule() instantiates a new empty DatetimeIndex without regard to possible tz in an empty series of provided dates.

* Added a test.

* Let's format this.

* Update pandas/tseries/holiday.py

Co-authored-by: Matthew Roeschke <10647082+mroeschke@users.noreply.github.com>

* Wrapping up post-comment changes: delete superflous object, and clean up the test.

* Let's put that back.

* Update whatsnew

* Moved update to correct version file under doc/source/whatsnew

* Revert commit.

* Fix wording on the whatsnew update.

* Update doc/source/whatsnew/v2.2.0.rst

Co-authored-by: Matthew Roeschke <10647082+mroeschke@users.noreply.github.com>

* Update doc/source/whatsnew/v2.2.0.rst

Co-authored-by: Matthew Roeschke <10647082+mroeschke@users.noreply.github.com>

---------

Co-authored-by: Matthew Roeschke <10647082+mroeschke@users.noreply.github.com>

Author: roadswitcher

doc/source/whatsnew/v2.2.0.rst

@@ -120,6 +120,7 @@ Performance improvements
 
 Bug fixes
 ~~~~~~~~~
+- Bug in :class:`AbstractHolidayCalendar` where timezone data was not propagated when computing holiday observances (:issue:`54580`)
 
 Categorical
 ^^^^^^^^^^^

pandas/tests/tseries/holiday/test_holiday.py

@@ -3,7 +3,10 @@
 import pytest
 from pytz import utc
 
-from pandas import DatetimeIndex
+from pandas import (
+    DatetimeIndex,
+    Series,
+)
 import pandas._testing as tm
 
 from pandas.tseries.holiday import (
@@ -17,6 +20,7 @@
     HolidayCalendarFactory,
     Timestamp,
     USColumbusDay,
+    USFederalHolidayCalendar,
     USLaborDay,
     USMartinLutherKingJr,
     USMemorialDay,
@@ -311,3 +315,17 @@ class TestHolidayCalendar(AbstractHolidayCalendar):
     tm.assert_index_equal(date_interval_low, expected_results)
     tm.assert_index_equal(date_window_edge, expected_results)
     tm.assert_index_equal(date_interval_high, expected_results)
+
+
+def test_holidays_with_timezone_specified_but_no_occurences():
+    # GH 54580
+    # _apply_rule() in holiday.py was silently dropping timezones if you passed it
+    # an empty list of holiday dates that had timezone information
+    start_date = Timestamp("2018-01-01", tz="America/Chicago")
+    end_date = Timestamp("2018-01-11", tz="America/Chicago")
+    test_case = USFederalHolidayCalendar().holidays(
+        start_date, end_date, return_name=True
+    )
+    expected_results = Series("New Year's Day", index=[start_date])
+
+    tm.assert_equal(test_case, expected_results)

pandas/tseries/holiday.py

@@ -354,7 +354,7 @@ def _apply_rule(self, dates: DatetimeIndex) -> DatetimeIndex:
         Dates with rules applied
         """
         if dates.empty:
-            return DatetimeIndex([])
+            return dates.copy()
 
         if self.observance is not None:
             return dates.map(lambda d: self.observance(d))