Fix return type of MultiIndex.levels (#13870)

Fixes: #13863 

This PR fixes the return type of `MultiIndex.levels` to return `Index` objects.

Authors:
  - GALI PREM SAGAR (https://github.com/galipremsagar)

Approvers:
  - Lawrence Mitchell (https://github.com/wence-)

URL: #13870

python/cudf/cudf/core/multiindex.py

@@ -619,14 +619,8 @@ def levels(self):
                     (3, 12)],
                 names=['a', 'b'])
         >>> midx.levels
-        [0    1
-        1    2
-        2    3
-        dtype: int64, 0    10
-        1    11
-        2    12
-        dtype: int64]
-        """
+        [Int64Index([1, 2, 3], dtype='int64', name='a'), Int64Index([10, 11, 12], dtype='int64', name='b')]
+        """  # noqa: E501
         if self._levels is None:
             self._compute_levels_and_codes()
         return self._levels
@@ -772,8 +766,9 @@ def _compute_levels_and_codes(self):
                 # `factorize` show up in other parts of public APIs.
                 warnings.simplefilter("ignore")
                 code, cats = cudf.Series._from_data({None: col}).factorize()
+            cats.name = name
             codes[name] = code.astype(np.int64)
-            levels.append(cudf.Series(cats, name=None))
+            levels.append(cats)
 
         self._levels = levels
         self._codes = cudf.DataFrame._from_data(codes)

python/cudf/cudf/tests/test_multiindex.py

@@ -1868,3 +1868,13 @@ def test_multiindex_index_single_row():
     gdf.index = idx
     pdf = gdf.to_pandas()
     assert_eq(pdf.loc[("b", 3)], gdf.loc[("b", 3)])
+
+
+def test_multiindex_levels():
+    gidx = cudf.MultiIndex.from_product(
+        [range(3), ["one", "two"]], names=["first", "second"]
+    )
+    pidx = gidx.to_pandas()
+
+    assert_eq(gidx.levels[0], pidx.levels[0])
+    assert_eq(gidx.levels[1], pidx.levels[1])