Why do colors affect emotion? The paper "Color Psychology: Effects of Perceiving Color on Psychological Functioning in Humans" by Andrew J. Elliot and Markus A. Maier shows color effects emotion, but what property of them cause this effect? Does light blue make you feel peaceful because it is the color of the sky, or because the wavelength causes something in the brain to feel peaceful? Basically, are the color emotions controlled by association or something else?
Our emotional responses to colors is based on two factors : innate behavior and acquired behavior (aslo known as nature and nurture).

Innate behavior is build in our genes, it is instinctive and performed without being based upon prior experience (that is, in the absence of learning), and is therefore an expression of innate biological factors. This innate behavior is formed through evolution. The evolutionary aesthetics can explain the innate factor of emotional response to colors.


  Evolutionary aesthetics refers to evolutionary psychology theories in
  which the basic aesthetic preferences of Homo sapiens are argued to
  have evolved in order to enhance survival and reproductive success.
  
  Based on this theory, things like color preference, preferred mate
  body ratios, shapes, emotional ties with objects, and many other
  aspects of the aesthetic experience can be explained with reference to
  human evolution.


Acquired behavior is formed through our exepriences with the world. Our day to day interactions with our enviroment creates emotional responses and some of these responses are associated to certain colors. Also the culture has a great influence on how we interpret and subsequently emotionaly response to colors.

examples of cultural color associations:



  Take France, for example, where yellow signifies jealously, betrayal,
  weakness, and contradiction. In the 10th century, the French painted
  the doors of traitors and criminals yellow.


  In Japanese culture, yellow has represented bravery, wealth, and
  refinement since the War of Dynasties in 1357. During this time,
  warriors wore yellow chrysanthemums—which represent the emperor in
  Japan and royal family—as a pledge of courage.



some addtional articles:

https://en.m.wikipedia.org/wiki/Color_psychology

https://www.psychologytoday.com/blog/the-new-brain/201104/why-we-prefer-certain-colors