There are several ways that heat can be transmitted, but in this case we're talking about light, so it's helpful to talk about radiative heat, which is transmitted through infrared radiation that is invisible to our eye. In general, the colour of something might not be as significant as the general material of an object. (For example, is it metal, is it plastic, is it wood?) However, you could do a simple experiment with black and white paper. On average when compared to black paper, white paper reflects more light, so it absorbs less energy from visible and near-visible light. Because white paper absorbs less energy, it may not get as hot.

This is a somewhat strange question to answer because paper is commonly known as being an insulator. That is, paper is a type of material that reduces the amount of heat transfer from one object to another. Perhaps what you want to know is more along the lines of what color paper will absorb the most thermal energy? In that case, black paper is the best at absorbing electromagnetic radiation because it approximates a black body absorber. You can read more about it on Wikipedia's page concerning black bodies: