Eddie Murphy is a better movie star because of the way he acts so naturally, and gets immersed in the overall setting of the film and in his character. While he is an equally good stand-up comedian, I think that this question is subjective and it would depend on one’s personal preference.
Those who are used to seeing him more in the movies rather than on a stage, might think of him as a better actor. Those who do not follow his movies but see him on the stage more often, might think he’s a better comedian. All in all, he is great at both!