Ceiling electrical box wires -trying to install a light fixture
Don't sweat the 3 blacks and 3 whites in the fixture.  Those are so you have the option to power multiple bulbs off different circuits... say you have some circuits on a generator, you can put 1 of the bulbs on the generator-side panel.  All the fixture blacks go together (in fact I would pigtail them on the bench before installing).  All the fixture whites go together (again pigtail those on the bench).  

First, DO NOT split up any of the black and white bundles in this setup.  A few months ago we saw someone in almost your identical situation take apart ALL those wires, spread them out, shoot a photo and post it here... and unfortunately this was an older building with cloth covered wires, and colors were indistinguishable.  The poor person knocked out power to a neighbor's flat, and had to fork out $300 to hire the landlord's electrician to put it all back right.  

Your building is wired in conduit, and so the electrician was able to do something they usually are unable to do: actually color-coded the wires by function. In your case (only), black is always-hot, white is neutral, and single yellow is switched-hot for the lamp.  

Your voltage tester is giving you a bad reading because of "phantom voltage" and a quirk of how voltage testers work.  We can see plain as day that the yellow wire is correctly wired to a switch.  If you install the light and it's really on 24x7, then the only possibility is a defective switch. 

I agree with Jasen that you will need to add a white wire to the existing white wires - that's why I say pigtail the lamp whites, so you're only adding 1 wire instead of trying to cram 3 little wires into a nut that already has 3 big ones (not legal and not gonna happen).  Even for 4 wires you will need the larger "red or tan" wire nuts.  

Crank down wire nuts Very Hard, and pull test them without tape. If you need tape, don't - that is a bad connection that will start a fire.  Fix your technique.