Columns and Index share the same numpy object underneath when pd.DataFrame.cov is used
#### A small, complete example of the issue

```python
In [1]: import pandas as pd
        import numpy as np
In [2]: df = pd.DataFrame(np.random.randn(4 * 1000).reshape(1000, 4), columns=list("abcd"))
In [3]: c = df.cov()

In [4]: c.index is c.columns
Out[4]: True

In [5]: c.index.name = "ABC"

In [6]: c.columns.name
Out[6]: 'ABC'

```
#### Expected Output

```python
In[7]: c.index is c.columns
False
```

#### Output of ``pd.show_versions()``

<details>
In [8]: pd.show_versions()

INSTALLED VERSIONS
------------------
commit: None
python: 2.7.12.final.0
python-bits: 64
OS: Linux
OS-release: 3.10.0-327.36.2.el7.x86_64
machine: x86_64
processor: x86_64
byteorder: little
LC_ALL: None
LANG: en_US.utf8
LOCALE: None.None

pandas: 0.19.1
nose: 1.3.7
pip: 9.0.0
setuptools: 27.2.0
Cython: 0.24.1
numpy: 1.11.2
scipy: 0.18.1
statsmodels: 0.6.1
xarray: None
IPython: 5.1.0
sphinx: 1.4.8
patsy: 0.4.1
dateutil: 2.5.3
pytz: 2016.7
blosc: None
bottleneck: 1.1.0
tables: 3.2.3.1
numexpr: 2.6.1
matplotlib: 1.5.3
openpyxl: 2.3.2
xlrd: 1.0.0
xlwt: 1.1.2
xlsxwriter: 0.9.3
lxml: 3.6.4
bs4: 4.5.1
html5lib: None
httplib2: None
apiclient: None
sqlalchemy: 1.0.13
pymysql: None
psycopg2: 2.6.2 (dt dec pq3 ext)
jinja2: 2.8
boto: 2.42.0
pandas_datareader: None
</details>
