Could be that your intonation is off. Check the open string, to the 12th fret. They should be the exact same pitch. If it is sharp/flat then it is a problem with intonation. You would have to adjust the saddle and move it back if the string is sharp, forward if it's flat.

Better quality guitars are of course going to be set up better. Not sure what kind of guitar you have so can't comment on it being "cheap" or not.