Handle empty case

Author: chilin0525

Diff for: pandas/core/indexes/period.py

@@ -535,7 +535,11 @@ def shift(self, periods: int = 1, freq=None) -> Self:
         return self + periods
 
     def _convert_can_do_setop(self, other):
-        if not isinstance(other, Index) or isinstance(other, PeriodIndex):
+        if (
+            not isinstance(other, Index)
+            or other.empty
+            or isinstance(other, PeriodIndex)
+        ):
             return super()._convert_can_do_setop(other)
 
         # Convert non-PeriodIndex to PeriodIndex