The susceptibility of a fatty acid to oxidation is based on how many double bonds it has. Polyunsaturated fatty acids (most prevalent in vegetable oils) have 2 or more double bonds. Monounsaturated fatty acids have only one. Olive oil is mostly monounsaturated and is therefore less susceptible to oxidation than vegetable oil, but it is more susceptible than coconut oil which is mostly saturated fat (no double bonds).
Personally, I never heat olive oil since coconut oil is a reasonably convenient alternative.