BUG: read_excel issue - 1

[kuraga]

• I have checked that this issue has not already been reported.

• I have confirmed this bug exists on the latest version of pandas.

• (optional) I have confirmed this bug exists on the master branch of pandas.

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Code Sample, a copy-pastable example

See Problem description.

Problem description

import pandas as pd
pd.read_excel('test.xlsx', header=[0, 1], index_col=0, engine='openpyxl')

produces

Traceback (most recent call last):
  File "test.py", line 3, in <module>
    pd.read_excel('test.xlsx', header=[0, 1], index_col=0, engine='openpyxl')
  File "/home/sasha/miniconda3/lib/python3.7/site-packages/pandas/io/excel/_base.py", line 334, in read_excel
    **kwds,
  File "/home/sasha/miniconda3/lib/python3.7/site-packages/pandas/io/excel/_base.py", line 888, in parse
    **kwds,
  File "/home/sasha/miniconda3/lib/python3.7/site-packages/pandas/io/excel/_base.py", line 521, in parse
    ].columns.set_names(header_names)
  File "/home/sasha/miniconda3/lib/python3.7/site-packages/pandas/core/indexes/base.py", line 1325, in set_names
    idx._set_names(names, level=level)
  File "/home/sasha/miniconda3/lib/python3.7/site-packages/pandas/core/indexes/base.py", line 1239, in _set_names
    raise ValueError(f"Length of new names must be 1, got {len(values)}")
ValueError: Length of new names must be 1, got 2

import pandas as pd
pd.read_excel('test.xlsx', header=[0, 1], index_col=0, engine='xlrd')

produces

Traceback (most recent call last):
  File "test.py", line 3, in <module>
    pd.read_excel('test.xlsx', header=[0, 1], index_col=0, engine='xlrd')
  File "/home/sasha/miniconda3/lib/python3.7/site-packages/pandas/io/excel/_base.py", line 334, in read_excel
    **kwds,
  File "/home/sasha/miniconda3/lib/python3.7/site-packages/pandas/io/excel/_base.py", line 888, in parse
    **kwds,
  File "/home/sasha/miniconda3/lib/python3.7/site-packages/pandas/io/excel/_base.py", line 512, in parse
    **kwds,
  File "/home/sasha/miniconda3/lib/python3.7/site-packages/pandas/io/parsers.py", line 2201, in TextParser
    return TextFileReader(*args, **kwds)
  File "/home/sasha/miniconda3/lib/python3.7/site-packages/pandas/io/parsers.py", line 880, in __init__
    self._make_engine(self.engine)
  File "/home/sasha/miniconda3/lib/python3.7/site-packages/pandas/io/parsers.py", line 1126, in _make_engine
    self._engine = klass(self.f, **self.options)
  File "/home/sasha/miniconda3/lib/python3.7/site-packages/pandas/io/parsers.py", line 2298, in __init__
    self.columns, self.index_names, self.col_names
  File "/home/sasha/miniconda3/lib/python3.7/site-packages/pandas/io/parsers.py", line 1495, in _extract_multi_indexer_columns
    for n in range(len(columns[0])):
IndexError: list index out of range

test.xlsx

Expected Output

No exceptions.

Output of pd.show_versions()

INSTALLED VERSIONS

commit : None
python : 3.7.7.final.0
python-bits : 64
OS : Linux
OS-release : 5.4.42-calculate
machine : x86_64
processor : Intel(R) Core(TM) i5-7200U CPU @ 2.50GHz
byteorder : little
LC_ALL : None
LANG : ru_RU.utf8
LOCALE : ru_RU.UTF-8

pandas : 1.0.3
numpy : 1.18.1
pytz : 2020.1
dateutil : 2.8.1
pip : 20.0.2
setuptools : 46.4.0.post20200518
Cython : 0.29.17
pytest : None
hypothesis : None
sphinx : None
blosc : None
feather : None
xlsxwriter : 1.2.8
lxml.etree : 4.5.0
html5lib : None
pymysql : None
psycopg2 : None
jinja2 : 2.11.2
IPython : 7.13.0
pandas_datareader: None
bs4 : None
bottleneck : None
fastparquet : None
gcsfs : None
lxml.etree : 4.5.0
matplotlib : 3.1.3
numexpr : None
odfpy : None
openpyxl : 3.0.3
pandas_gbq : None
pyarrow : None
pytables : None
pytest : None
pyxlsb : None
s3fs : None
scipy : 1.4.1
sqlalchemy : None
tables : None
tabulate : None
xarray : None
xlrd : 1.2.0
xlwt : None
xlsxwriter : 1.2.8
numba : None

[asishm]

Doesn't seem to be raising an exception in v1.1.1
but there seem to be issues

In [59]: df = pd.read_excel('Downloads/test.xlsx', header=[0,1], index_col=0)

In [60]: df
Out[60]:
A  D
B  E
C  F

In [61]: df.values
Out[61]: array([['F']], dtype=object)

In [62]: df = pd.read_excel('Downloads/test.xlsx', header=[0,1], index_col=0, engine='openpyxl')

In [63]: df
Out[63]:
A  D                                           ...
B  E E.1 E.2 E.3 E.4 E.5 E.6 E.7 E.8 E.9 E.10  ... E.1012 E.1013 E.1014 E.1015 E.1016 E.1017 E.1018 E.1019 E.1020 E.1021 E.1022
C  F NaN NaN NaN NaN NaN NaN NaN NaN NaN  NaN  ...    NaN    NaN    NaN    NaN    NaN    NaN    NaN    NaN    NaN    NaN    NaN

[1 rows x 1023 columns]

In [64]: pd.__version__
Out[64]: '1.1.1'

In [66]: df = pd.read_excel('Downloads/test.xlsx', header=[0,1], index_col=0, engine='xlrd')

In [67]: df
Out[67]:
A  D
B  E
C  F