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

pandas/tests/tseries/holiday/test_holiday.py

@@ -17,6 +17,7 @@
     HolidayCalendarFactory,
     Timestamp,
     USColumbusDay,
+    USFederalHolidayCalendar,
     USLaborDay,
     USMartinLutherKingJr,
     USMemorialDay,
@@ -311,3 +312,21 @@ 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
+    USFederalHolidayCalendar()
+    start_date = Timestamp("2018-01-01", tz="America/Chicago")
+    end_date = Timestamp("2018-01-11", tz="America/Chicago")
+    expected_results = DatetimeIndex(
+        ["2018-01-01 00:00:00-06:00"],
+        dtype="datetime64[ns, America/Chicago]",
+        freq=None,
+    )
+
+    tm.assert_equal(
+        USFederalHolidayCalendar().holidays(start_date, end_date), expected_results
+    )

pandas/tseries/holiday.py

@@ -354,7 +354,9 @@ def _apply_rule(self, dates: DatetimeIndex) -> DatetimeIndex:
         Dates with rules applied
         """
         if dates.empty:
-            return DatetimeIndex([])
+            # Handle case where we get an empty series of dates with a
+            # defined timezone
+            return DatetimeIndex([]).tz_localize(dates.tz)
 
         if self.observance is not None:
             return dates.map(lambda d: self.observance(d))