A graded gap quantum well structure, where the band gap is linearly changing along the growth direction, is proposed for the enhancement of quantum confined Stark effect. Theoretical calculations show that the ground‐state exciton peak energy shifts by a larger amount than in a usual square‐shaped quantum well under an applied electric field. The wave function modifications in this quantum well result in a smaller decrease of the exciton oscillator strength, according to the electric field applied. These effects reveal the possibility of achieving high‐performance optical modulators or other devices which utilize the quantum confined Stark effect.