We demonstrate the use of an ultrafast scanning tunneling microscope on a semiconductor surface. Laser-induced transient signals with 1.8 ps rise time are detected. The investigated sample is a low-temperature grown GaAs layer placed on a sapphire substrate with a thin gold layer that serves as a bias contact. For comparison, the measurements are performed with the tip in contact to the sample as well as in tunneling above the surface. In contact and under bias, the transient signals are identified as a transient photocurrent. An additional signal is generated by a transient voltage induced by the nonuniform carrier density created by the absorption of the light (photo Dember effect). The transient depends in sign and in shape on the direction of optical excitation. This signal is the dominating transient in tunneling mode. The signals are explained by a capacitive coupling across the tunneling gap.