I have the same problem. My earring holes will bleed if a cheap metal is in them. The only solution I have been able to find is only wearing sterling silver or gold earrings. It sucks because they cost a lot and there are so many cute earrings I can't wear, but such is life :-/
No, if that happens you likely have a slight allergy to whatever material they're made of. I'm allergic to nickel which is in most metals so I can only really wear real gold or sterling silver and things like that.
It's caused by an allergy to the material. If you wear them enough, eventually it should stop affecting you. Alternately, there are solutions that look like clear nail polish that you can paint onto earrings.