This is an optical effect caused naturally in the sky.
The illusion of vertical pillars of light in the sky are called light pillars. They appear during cold weather above light sources when ice crystals move closer to the ground and reflect light back to the viewer. Sometimes the vertical light can be bent or broken which makes a slightly different effect. (Most of the photos can be enlarged by clicking.)
– Atmospheric Optics, Light Pillars>>
– Learn Weather Phenomenons, Light Pillars, Weatherfreaks>>
– The curious phenomenon of the new Northern Lights: Optical illusion caused by ice crystals in the Yorkshire night sky, Mail Online>>
– Beam me up: Scientists left baffled as mysterious columns of coloured light appear in the night skies, Mail Online>>
– Light pillar, Wikipedia>>
– LIGHT PILLAR PICTURES: Mysterious Sky Shows Explained, National Geographic>>