Arbi, it's a little of both. In most sunny conditions, shadows really are in a complementary color range compared to the sunlit surfaces because they're lit by the relatively blue skylight.
By contrast, the sunlit surfaces are lit by the sum of the sunlight and the skylight, with the sunlight dominating. It's easy to demonstrate this with a camera that is color balanced to sunlit white paper. When you take the same white paper and photograph it again in shadow, it's clearly bluer.
The effect is heightened late in the day as the sun is lower in the sky. More of the short-wavelength is scattered out of the sunlight, leaving more orange or red light, and making the color contrast between light and shadow more obvious.
(A brief caution on the above: the shadow side of any object receives not only skylight, but also reflected light from other sources, so if those sources of reflected light are very warm, and the sky is blocked by trees or clouds, the shadow might be very warm, too.)
|These are all from the shadow side of a white building. From the post "A White Building in Shadow"|
This is an effect I like to use a lot, not only to simulate the "Golden Hour" time of day, but also in small ways, to alternate relatively warm and cool colors throughout a picture.
Previously on GJ:
Warm and Cool Colors
A White Building in Shadow
Color and Light: A Guide for the Realist Painter on Amazon