OK. Thanks guys, I have solved the problem.
It was really interesting.
I am using AM29F040 because I have plenty of them in my stock. It seems CHR doesn't care about its A17 and A18 floating but PRG doesn't like it at all!
I had filled both of them with fourfold data of 128KB so I didn't worry about A17 and A18 being floating!
How to solve it :
Pin 30 of PRG (A17) --> Pin 4 of KS5361
Pin 1 of PRG (A18) --> 5V
By the way, the games run ok without using any capacitor. So they are unnecessary!