We have observed two‐wave mixing in semi‐insulating AlGaAs/GaAs multiple quantum well structures at wavelengths near the exciton absorption. The photorefractive index changes are caused by the Franz–Keldysh effect on quantum‐confined excitons. Photorefractive gains larger than 200 cm−1are obtained for the first time at wavelengths near 836 nm using stationary fringes and dc applied fields up to 5 kV/cm. The direction of energy transfer between the two beams is determined by the direction of applied electric field.