Make month_name field in DatetimeIndex categorical

Author: sivakar12

pandas/core/indexes/datetimes.py

@@ -2506,7 +2506,9 @@ def month_name(self, locale=None):
         result = fields.get_date_name_field(values, 'month_name',
                                             locale=locale)
         result = self._maybe_mask_results(result)
-        return Index(result, name=self.name)
+        return CategoricalIndex(result, ordered=True,
+                                categories=ccalendar.MONTHS_FULL[1:],
+                                name=self.name)
 
     def day_name(self, locale=None):
         """