I tried to research this and came away with inconclusive results… it’s actually a complete mess. I suppose it depends on the rest of your diet, what temperature you cook at, and whether or not you have high cholesterol or a high risk of cardiovascular disease.
Olive oil is generally considered a good fat to use in your diet in a non-heated form. When you start frying, things get confusing.
As mentioned by @ARE_you_kidding_me, @Tropical_Willie and @Yetanotheruser, the temperature matters.
Apparently the “smoking point” of olive oil is about 280 degrees Fahrenheit while coconut oil is 350 F and avocado is 500 F. Cooking above smoke point releases free radicals and a substance called acrolein which is toxic. This is why many avoid olive oil for cooking over approx 250.
To make matters more confusing, like @Lightlyseared mentions, not all olive oil is the same – different types have different smoke points and properties…
To further complicate matters, not all coconut oil is created equal. It can vary in variety of coconuts, type of processing—these factors will impact the health benefits. Many commercial coconut oils are refined, bleached, and deodorized and contain chemicals used in processing. Organic does not.
Another factor that is a complete mess is the controversy about saturated fat. More than 85 percent of the fat in coconut oil is saturated. However, not all saturated fats are equal. The main type of saturated fat in coconut oil is lauric acid, which is one of the same fatty acids present in human breast milk.