Question

Can a link cable connect a Gameboy Colour and a Gameboy Advance SP?

Answer 1

According to Bulbapedia, Game Boy Color (GBC) games can be linked on Game Boy Advance (GBA) systems, provided you have the correct link cable.

The Game Boy Advance and Game Boy Advance SP use the same link cable. A Game Boy Color link cable may be used with a Game Boy Advance, but it can only link GBC games, as GBA games require more bandwidth.

To actually connect a GBA system with a GBC system though, Nintendo's support site recommends that a Universal Game Link cable be used. (You can't connect a GBC cable to a GBA one.) It also warns there may be some compatibility issues using GBA generation system to link GBC games:

...because of the differences between the Game Boy Advance systems, and other Game Boy systems, a few multiplayer games may not work properly.

So in short, you need to have the right cables: and even then, compatibility for everything is not guaranteed.

Comments

you said it can only link GBC games can it also link original GameBoy games since both the GBC and the GBA  can play those games

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I did some poking around, and yes: you can play original GB games at well. However, the Bulbapedia article is missing a few specifications that are on Nintendo's support site.
I'll update the answer: in brief, it needs a specific link cable, and it's not guaranteed to work properly.