BUG: Columns and Index share the same numpy object underneath when pd.DataFrame.cov is used 
 - [ ] closes #14617 
 - [ ] tests added / passed
 - [ ] passes ``git diff upstream/master | flake8 --diff``
 - [ ] Index now copies the columns array instead of using the same object in
covariance and correlations stats methods of dataframe

- needs tests; you can put next to the other .cov tests
- add a whatsnew note in 0.19.2
 ## [Current coverage](https://codecov.io/gh/pandas-dev/pandas/pull/14667?src=pr) is 85.28% (diff: 100%)

> Merging [#14667](https://codecov.io/gh/pandas-dev/pandas/pull/14667?src=pr) into [master](https://codecov.io/gh/pandas-dev/pandas/branch/master?src=pr) will increase coverage by **<.01%**

``` diff
@@             master     #14667   diff @@
==========================================
  Files           140        140          
  Lines         50693      50695     +2   
  Methods           0          0          
  Messages          0          0          
  Branches          0          0          
==========================================
+ Hits          43234      43236     +2   
  Misses         7459       7459          
  Partials          0          0          
```

> Powered by [Codecov](https://codecov.io?src=pr). Last update [3f523f3...428cb37](https://codecov.io/gh/pandas-dev/pandas/compare/3f523f3652602c7105194b19b72ff30bbff47258...428cb374f0686313749a2841b76b866c3e9982b0?src=pr)
 can you update (whatsnew in 0.20.0) can you add a test and whatsnew for 0.20.0 (bug fix) closing as stale. please ping if you'd like to continue.