diff --git a/pandas/core/frame.py b/pandas/core/frame.py
index c4defdb24370f..d966403051cee 100644
--- a/pandas/core/frame.py
+++ b/pandas/core/frame.py
@@ -5706,7 +5706,10 @@ def shift(
             )
 
         if self.empty:
-            return self.copy()
+            if axis == 1:
+                return DataFrame(index=self.index, columns=self.columns.shift(periods))
+            else:
+                return DataFrame(index=self.index.shift(periods), columns=self.columns)
 
         axis = self._get_axis_number(axis)