Multifractal properties of 30 min wind data series recorded at six locations in Cadiz (Southern Spain) have been studied in this work with the aim of obtaining detailed information for a range of time scales. Wind speed records have been validated, applying various quality control tests as a pre-requisite before their use, improving the reliability of the results due to the identification of incorrect values which have been discarded in the analysis. The scaling of the wind speed moments has been analysed and empirical moments scaling exponent functions K(q) have been obtained. Although the same critical moment (qcrit) has been obtained for all the places, some differences appear in other multifractal parameters like γmax and the value of K(0). These differences have been related to the presence of extreme events and zero data values in the data series analysed, respectively.