This is discussed in an interview with the film's virtual lighting team. The shortest answer is that each of the characters are made of energy and glow slightly, but Joy glows the most because she's got the most energy:
"Around December 2013, I was telling everybody, 'All I want for
Christmas is Joy's geometry light working. We deployed it with very
little testing in March of 2014 into production, but thankfully, it
ended up working out and we used it in every shot in the film."
“The look and design of the Emotions had to remind people that they
are personifications of feelings,” says Docter. “They’re not little
people. They’re Emotions. They’re made of energy — they’re made up of
thousands of particles, which kind of looks like energy. We wanted to
capture what emotions feel like — the shapes, the colors — as well as
Albert Lozano, character art director, was inspired by production
designer Ralph Eggleston’s early efforts. “The way that the chalk
spattered on Ralph’s pastels, it reminded me of bubbles. Joy is
effervescent. ... I do a lot of collage work, so I took the image of a
sparkler, added a face, legs and arms, and that felt like Joy to me,
too. I knew she had to emit joy.”
Each character had a different version of the boiling effect or what
Pixar called 'solidity', Anger is the most solid, vs. Joy and Fear
have their particles emanating out more "because they are more
'volume' (than solid) - for example, on Fear's nose the particles come
out really far, and off his nose, and on joy we went so far as to
basically have her wrist transparent, and that was very intentional -
it was something that Pete (Docter) wanted to see in the film, to give
the idea they were made of energy particles, to look how our emotions
feel - our emotions change even as we are standing still - and so the
characters change even as they are standing still."
and in this interview with the film's "Lighting Lead", Angelique Reisch:
"She is the main character and we needed an elegant solution," Reisch
continued. "RenderMan was working on what they call geometric area
lights, or a geolight. What this light does is allow you to select a
model and then turn that model into a light source. This was music to
our ears. But RenderMan’s geolight wasn't scheduled to be ready for
Inside Out's production in time, but after some internal 'red flags'
being raised, Pixar's global technology and lighting people got
together with RenderMan and were able to run it out in time.
Since Joy's the brightest character, she's the only one that casts
light. For Sadness (Phyllis Smith), they relied on irradiance. But the
inner glow was shared by all five emotions, with the procedural
particles close to the skin made by the character department and the
outer particle sim created by the effects team.
As to why her glow is blue-yellow, that's something that foreshadows her third-act revelation where Joy comes to understand that without sadness, there can be no joy. In this instance the blue glow represents Joy's Jungian "Shadow self".