Regular scalp massage increases blood flow to hair follicles. A four-minute daily scalp massage without oil showed increased hair thickness in one study over 24 weeks. The mechanical stimulation, not the oil, appears to be the active factor. Oil primarily provides lubrication and conditioning for the hair shaft.
Coconut oil is well-evidenced for reducing protein loss from damaged hair when applied before washing. It penetrates the hair shaft better than most oils. The most important aspect of any oil treatment is the consistency of application rather than the specific oil chosen.