The efficiency stars and the star worn above the stripes are signs of a "volunteer" (unpaid part-time) unit as mentioned by others. These were not used by the "militia" (paid part-time) forces however, who were more closely aligned with the regular army in their dress.
He is a member of the 5th (Glasgow Highland) Volunteer Battalion, the Highland Light Infantry, which despite its title closely modelled its uniform and badges on the Black Watch rather than the HLI. The most distinctively non-Black Watch feature was the white-over-red "hackle" (plume) that can be prominently seen in this photo - this combination of features really leaves no doubt as to which unit he was in. When the Volunteer Force became the Territorial Force in 1908, the 5th Volunteer Battalion was retitled as the 9th (Glasgow Highland) Battalion, Highland Light Infantry. So this is actually the uniform of one of the three units you already know that he served in.
According to Grierson's detailed book on the volunteer force in Scotland, red sashes for sergeants (as in your photo) were issued in this battalion from 1902 onwards, so it is likely the photo is dated later than this.
Tim
