Currently the Index.str methods only support returning Index results. However, analogous to the expansion from Series.str.* -> DataFrame, we should be able to do Index.str.* -> MultiIndex in certain cases, as discussed in #9870 (comment)
Some of the string methods that can support this are: str.get_dummies, str.extract, str.split
split ( DEPR: Deprecate str.split return_type #10085)rsplit ( ENH: added rsplit to StringMethods #10303)partition / rpartition ( ENH: Add StringMethods.partition and rpartition #9773)extract ( ENH: str.extractall for several matches #11386, only supports one group )extractall (not implemented in Index), ENH/BUG: str.extractall doesn't support index #13156get_dummies ( ENH: Add Index.str.get_dummies #12842)Here are the related PRs: #9667, #9843, #9870, #9985
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