Context. Flickering is a ubiquitous phenomenon in cataclysmic variables (CVs). Although the underlying light source is one of the main contributors to the optical radiation, the mechanism leading to flickering is not understood as yet. Aims. The present study aims to contribute to the set of boundary conditions, defined by observations, which must be met by physical models that describe the flickering. In particular, time lags in the occurrence of flickering events at different wavelengths over the optical range are examined. Methods. To this end, the cross-correlation functions (CCFs) of numerous light curves of a sample of CVs are analysed that were observed simultaneously or quasi-simultaneously in different bands of various photometric systems. Results. Deviations of the maxima of the CCFs from zero time-shift indicate a dependence of the flickering activity on the wavelength in the sense that flickering flares reach their maxima slightly earlier in the blue range than in the red. While the available observational material does not permit detecting this individually in all observed systems, the ensemble of all data clearly shows this effect. Particularly instructive are the cases of V603 Aql and TT Ari, where time lags of 15. s 1 and 4. s 3, respectively, are observed between the U and R bands. In principle this can be understood if during the development of a flickering flare the radiation characteristics of the light source responsible for flickering change such that in the early phases of a flare more short-wavelength radiation is emitted, and later on, the peak of the emission shifts to the red. Respective scenarios are discussed and shown to be in qualitative and quantitative agreement with observations.