diff --git a/pandas/src/algos_groupby_helper.pxi b/pandas/src/algos_groupby_helper.pxi
index 8e289544a072e..013a03f719bbd 100644
--- a/pandas/src/algos_groupby_helper.pxi
+++ b/pandas/src/algos_groupby_helper.pxi
@@ -1359,6 +1359,7 @@ def group_shift_indexer(int64_t[:] out, int64_t[:] labels,
 
                 # Skip null keys
                 if lab == -1:
+                    out[ii] = -1
                     continue
 
                 label_seen[lab] += 1