While the health benefits of olive oil are well documented, from improved heart health and immune system performance to decreased risk of chronic disease, a persistent misconception exists around using it for frying or baking. Some home chefs insist instead on using vegetable oil for this purpose, citing its neutral flavor profile and high smoke point. The truth is that, despite a a healthy-sounding name, vegetable oil is about as far from a vegetable as you can get.
The term "vegetable" may conjure up images of leafy greens, but you will not find celery or broccoli in a bottle of vegetable oil. The most common plant used in commercial vegetable oil production is actually soybeans, with both Crisco and Wesson listing it as the top ingredient. Other commonly used plants include canola, corn and cottonseed.  Lisa Howard, a culinary industry pro and author of The Big Book of Healthy Cooking Oils, describes the confusion this way:
"It’s called ‘vegetable’ so that the manufacturers can substitute whatever commodity oil they want—soy, corn, cottonseed, canola—without having to print a new label" 
In order to create oil from these plants, the seeds must undergo extensive processing. The treatments include grinding, bleaching, deodorizing, treating with chemical solvents and refining at high heat. . While this process does create a neutral flavor, it also removes healthful antioxidants. When it comes to fats, the levels of potentially harmful polyunsaturated ones in vegetable oil are enough to give you pause: a serving of vegetable oil contains 61% polyunsaturated fats, compared to olive oil's 9%. .
Proponents of vegetable oil will point to its higher smoke point, 460°F compared with extra virgin olive oil which can be as high as 410°F, as an advantage. However a study published by ACTA Scientific Nutritional Health found that refined oils higher in polyunsaturated fats proved to be less stable under high temperatures and oxidized much more quickly than oils lower in PUFA. The study compared ten of the most commonly used oils and found that extra virgin olive oil is the most stable cooking oil.
When it comes to taste, olive oil--especially extra virgin olive oil--has a much richer flavor profile than vegetable oil, and can enhance the flavor of everything you cook. And with the added flavor comes additional potential health benefits, derived from the unique olive antioxidants and polyphenols. (As a general rule, all olive oil is healthy, but the more flavor, the more potential health benefits.) However, if due to your cooking or baking requirements, or individual taste preferences, you prefer to use a neutral flavored cooking oil, choose a bottle labeled "pure" or "light tasting" rather than extra virgin. The flavors are mild, but they still pack a healthy dose of heart-healthy monounsaturated fats.
The choice is as clear; reach for a bottle of olive oil instead of vegetable oil when baking or frying. And remember, whether you choose extra virgin or light tasting olive oil, olive oil can take the heat!