BUG: Fix read of py3 PeriodIndex DataFrame HDF made in py2 (pandas-de…

…v#16781) (pandas-dev#16790)

In Python3, reading a DataFrame with a PeriodIndex from an HDF file
created in Python2 would incorrectly return a DataFrame with an
Int64Index.

doc/source/whatsnew/v0.20.3.txt

@@ -44,6 +44,7 @@ Bug Fixes
 - Bug in a DataFrame/Series with a ``TimedeltaIndex`` when slice indexing (:issue:`16637`)
 - Bug in reindexing on an empty ``CategoricalIndex`` (:issue:`16770`)
 - Fixed a pytest marker failing downstream packages' tests suites (:issue:`16680`)
+- Fixed compat with loading a ``DataFrame`` with a ``PeriodIndex``, from a ``format='fixed'`` HDFStore, in Python 3, that was written in Python 2 (:issue:`16781`)
 
 Conversion
 ^^^^^^^^^^